Browsing by Author "Chimanga, Artwell S."

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    Market segmentation and factors affecting stock returns on the JSE
    (2008) Chimanga, Artwell S.; Kotze, Danelle
    This study examines the relationship between stock returns and market segmentation. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly the analytic factor and cluster analysis techniques. Evidence supporting the use of multi-index models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s hypothesis on market segmentation on the JSE.